Question 1
A forward contract on a non-dividend-paying stock has 9 months to maturity. The stock trades at 50 and the continuously compounded risk-free rate is 4% per annum. What is the theoretical forward price?
Correct Answer:
51.52
Question 2
Which feature most clearly distinguishes an exchange-traded futures contract from an over-the-counter forward contract?
Correct Answer:
Futures are standardised and subject to daily margining through a clearing house, whereas forwards are bespoke with counterparty credit exposure
Question 3
In a plain vanilla interest rate swap, party A pays a fixed rate and receives a floating rate (e.g. SOFR) on the same notional. What is party A's primary economic exposure?
Correct Answer:
A benefits if floating rates rise above the fixed rate
Question 4
An investor holds a European call option with strike 100. At expiry the underlying is worth 92. What is the payoff and what has happened to the premium paid?
Correct Answer:
Payoff 0; the premium paid is a sunk loss
Question 5
Put-call parity for European options on a non-dividend-paying stock states that:
Correct Answer:
c + Ke^(-rT) = p + S0
Question 1
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About this Exam

Prepare with the IFoA SP6 Practice Questions - IFoA SP6 Financial Derivatives Specialist Principles Exam practice quiz. This question bank includes 100 questions covering call, stock, price, forward, and black-scholes. Use it to review important concepts, identify knowledge gaps, and build confidence for the related exam, course, or assessment.

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IFoA SP6 Practice Questions - IFoA SP6 Financial Derivatives Specialist Principles Exam

This practice set contains 100 questions from the matching question bank and focuses on call, stock, price, forward, and black-scholes. Work through each question carefully, review the provided solutions, and revisit topics that need more study before your next attempt.

This is an independent study resource intended for practice and review; it is not an official examination or an endorsement by any organization named in the title.

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